𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Agricultural futures


Book ID
125931455
Publisher
Nature Publishing Group
Year
2012
Tongue
English
Weight
114 KB
Volume
2
Category
Article
ISSN
1758-678X

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πŸ“œ SIMILAR VOLUMES


Factors affecting agricultural futures p
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or some time the only theory of futures price variability was the Samuelson F (1965) hypothesis that the variance of futures prices is a decreasing function of time to maturity. Even though an empirical study by Rutledge (1976) provided evidence against the hypothesis as a general characteristic of

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## Abstract The stochastic behavior of agricultural commodity prices is investigated using observations of the term structures of futures prices over time. The continuous time dynamics of (log‐) commodity prices are modeled as a sum of a deterministic seasonal component, a non‐stationary state‐vari

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